Jan Stranik is on MSDN TV talking about MDbg, the managed-debugging sample written in C#. See the video here. Jan wrote most of MDbg, and handle a lot of hard problems about getting a working debugger in managed code.
He gives a brief overview of managed-debugging and of Mdbg's architecture, including how Mdbg layers things on ICorDebug.
He also has the following demos:
1. creating an MDbg extension. (I blogged about that here)
2. using the mdbg wrappers in your own tools. (Kind of like a combination of enumerating all processes, attaching to them, and listing their modules).
Check it out!